What do you mean by ‘data privacy friendly’? It’s a file manager.

Nautilus is part of the Gnome ‘suite’. You can install vanilla Gnome, it’d come with it.

Canonical has nothing to do with it.

If there were something fishy about a Linux file manager, I’m sure someone would have raised the alarms…

As for Ubuntu, I’m sure there are videos and articles about that very topic stemming from its popularity. I don’t use Ubuntu, but for desktop usage I see more people recommend Fedora (which I also don’t use) and lots of hate for Snaps.

If you are serious about privacy, you’ll come to find varying opinions on whether or not Linux is privacy respecting. Overall, it is a start. Beyond the base install you’d want to get into containers and immutable distributions which I have no experience with.